Optimal Control of Backward Stochastic Differential Equations with Time Delayed Generators

被引：0

作者：

Shi Jingtao ^{[1
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

2011 30TH CHINESE CONTROL CONFERENCE (CCC) | 2011年

关键词：

Stochastic optimal control; Backward stochastic differential equation; Time delayed generator; Maximum principle; Optimal consumption; MAXIMUM PRINCIPLE;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper is concerned with the optimal control problem for systems described by backward stochastic differential equations with time delayed generators. We prove a sufficient maximum principle for a certain class of such systems. As an application, an optimal consumption problem from financial market is solved by our result and the explicit optimal consumption rate is obtained.

引用

页码：1285 / 1289

页数：5

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